Parametric estimation for cusp-type signal driven by fractional Brownian motion

被引：3

作者：

Mishra, M. N. ^{[1
]}

Rao, B. L. S. Prakasa ^{[2
]}

机构：

[1] Inst Math & Its Applicat, Bhubaneswar, Odisha, India

[2] CR Rao Adv Inst Math Stat & Comp Sci, Hyderabad, Telangana, India

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2020年 / 38卷 / 01期

关键词：

Stochastic differential equation; Cusp-type signal; fractional Brownian motion; psuedo likelihood estimation; maximum likelihood estimation;

D O I：

10.1080/07362994.2019.1646140

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We investigate the asymptotic properties of the maximum likelihood estimator of the drift parameter in a cusp-type signal driven by a fractional Brownian motion.

引用

页码：62 / 75

页数：14

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